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題名:黃金與原油期貨報酬波動之共同跳躍強度研究
書刊名:高雄應用科技大學學報
作者:張鼎煥 引用關係傅家音
作者(外文):Chang, Ting-huanFu, Chia-yin
出版日期:2012
卷期:41
頁次:頁145-159
主題關鍵詞:黃金原油CBP-GARCH-S模型跳躍強度GoldCrude oilCPB-GARCH-SJump intensity
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:5
  • 點閱點閱:36
期刊論文
1.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a Unit Root in Time Series Regression。Biometrica,75(2),335-346。  new window
2.Kwiatkowski, D.、Phillips, P. C. B.、Schmidt, P.、Shin, Y.(1992)。Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We that Economic Time Series Have a Unit Root?。Journal of Econometrics,54(1-3),159-178。  new window
3.Eraker, Bjorn、Johannes, Michael S.、Polson, Nick(2003)。The Impact of Jumps in Volatility and Returns。The Journal of Finance,58(3),1269-1300。  new window
4.Jorion P.(1988)。On Jump Processes in the Foreign Exchange and Stock Markets。The Review of Financial Studies,1(4),427-445。  new window
5.Pan, J.(2002)。The Jump-Risk Premia Implicit in Options--Evidence from an Integrated Time-Series Study。Journal of Financial Economics,63(1),3-50。  new window
6.Merton, Robert C.(1976)。Option Pricing When Underlying Stock Returns are Discontinuous。Journal Financial Economics,3(1-2),125-144。  new window
7.胡緒寧、洪瑞成、李命志(200607)。原油期貨的跳躍行為與跳躍相關性--CBP-GARCH模型之應用。東海管理評論,8(1),53-73。new window  延伸查詢new window
8.張鼎煥、李彥賢、林卓民(200805)。臺幣與日圓匯率共同跳躍強度分析--CBP-GJR-GARCH-S模型之應用。輔仁管理評論,15(2),23-40。new window  延伸查詢new window
9.Baffes, John(2007)。Oil spills on other commodities。Resources Policy,32(3),126-134。  new window
10.Chan, W. H.、Young, D.(2006)。Jumping hedges: An examination of movements in cooper spot and futures markets。Journal of Futures Markets,26(2),169-188。  new window
11.Cheng, W. H.(2008)。Overestimation in the traditional GARCH model during jump periods。Economics Bulletin,3(68),1-20。  new window
12.Chiu, C. L.、Hung, J. C.(2007)。Normal and abnormal information transmissions: evidence from China's stock markets。Applied Economics Letters,14(12),863-870。  new window
13.Fortune, J. N.(1987)。The inflation rate of the price of gold, expected prices and interest rates。Journal of Macroeconomics,9(1),71-82。  new window
14.Hammoudeh, S.、Yuan, Y.(2008)。Metal volatility in presence of oil and interest rate shocks。Energy Economics,30(2),606-620。  new window
15.Lee, M. C.、Cheng, W. H.(2007)。Correlated jumps in crude oil and gasoline during the Gulf War。Applied Economics,39(7),903-913。  new window
16.Lee, Y. H.、Chiu, C. L.(2007)。The impact of the QFIIs deregulation on normal and abnormal information transmission between the stock and exchange rates in Taiwan。Economics Bulletin,3(22),1-10。  new window
17.Lin, C. T.、Lee, Y. H.(2010)。The jump-diffusion process for the VIX and the S&P 500 index。African Journal of Business Management,4(9),1761-1768。  new window
18.Mahdavi, Saeid、Zhou, Su(1997)。Gold and commodity prices as leading indicators of inflation: tests of long-run relationship and predictive performance。Journal of Economics and Business,49(5),475-489。  new window
19.Soytas, U.、Sari, R.、Hammoudeh, S.、Hacihasanoglu, E.(2009)。World oil prices, precious metal prices and macroeconomy in Turkey。Energy Policy,37(12),5557-5566。  new window
20.Tokic, D.(2010)。The 2008 oil bubble: Causes and consequences。Energy Policy,38(10),6009-6015。  new window
21.Zhang, Y. J.、Wei, Y. M.(2010)。The crude oil market and the gold market: Evidence for cointegration. causality and price discovery。Resources Policy,35(3),168-177。  new window
22.鄭婉秀、吳雅惠(20100900)。石油、黃金與美元指數期貨波動外溢效果之探討  。風險管理學報,12(2),211-233。new window  延伸查詢new window
23.Sari, R.、Hammoudeh, S.、Soytas, U.(2010)。Dynamics of Oil Price, Precious Metal Prices, and Exchange Rate。Energy Economics,32(2),351-362。  new window
24.McKendrick, L. A. G.(1926)。Applications of mathematics to medical problems。Proceedings of the Edinburgh Mathematical Society,44,98-130。  new window
25.Campbell, J. T.(1934)。The poisson Correlation Function。Proceedings of the Edinburgh Mathematical Society,2(4),18-26。  new window
26.Chan, W. H.(2003)。A correlated bivariate poisson jump model for foreign exchange。Empirical Economics,28(4),669-685。  new window
27.Chan, W. H.、Maheu, J. M.(2002)。Conditional Jump Dynamics in Stock Market Returns。Journal of Business and Economic Statistics,20(3),377-389。  new window
28.Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica,50(4),987-1008。  new window
29.MacKinnon, James G.(1996)。Numerical Distribution Functions for Unit Root and Cointegration Tests。Journal of Applied Econometrics,11(6),601-618。  new window
30.Maheu, John M.、Mccurdy, Thomas H.(2004)。News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns。Journal of Finance,59(2),755-793。  new window
31.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
32.Pindyck, R. S.、Rotemberg, J. J.(1990)。The excess co-movement of commodity prices。Economic Journal,100(403),1173-1189。  new window
33.Berndt, E. K.、Hall, B. H.、Hall, R. E.、Hausman, J. A.(1974)。Estimation and Inference in Nonlinear Structural Models。Annuals of Economic and Social Measurement,3(4),653-665。  new window
34.Tully, E.、Lucey, B. M.(2007)。A power GARCH examination of the gold market。Research in International Business and Finance,21(2),316-325。  new window
35.Fama, E. F.(1984)。Forward and spot exchange rates。Journal of Monetary Economics,14(3),319-338。  new window
36.Narayan, P.、Narayan, S.、Zheng, X.(2010)。Gold and Oil Futures Markets: Are markets efficient?。Applied Energy,87(10),3299-3303。  new window
會議論文
1.Cashin, P.、McDormott, C.、Scott, A.(1999)。The myth of co-moving commodity prices。Symposium conducted at the meeting of the Reserve Bank of New Zealand (G99/9)。Wellington, NZ。  new window
2.Akaike, H.(1973)。Information Theory and an Extension of the Maximum Likelihood Principle。The Second International Symposium on Information Theory。Budapest:Akademiai Kiado。267-281。  new window
圖書
1.Hosmer, D. W.、Lemeshow, S.(1989)。Applied logistic regression。New York:John Wiley and Sons。  new window
 
 
 
 
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